I hope you’re enjoying Nioh enough to back up your save files. According to some Reddit and Neogaf users, their save game data disappears after creating a new character. The issue seems to have been picked up recently and may cost players significant progress.
At first I thought it might be a case of the actually deleting a character, but there aren’t many games that do this, and certainly not in recent memory. Either way, it’s still pretty crap if it happens to you. It doesn’t appear to be a problem for everyone, though, but it’s still a major bug that needs to be remedied.
Koei Tecmo has yet to comment on the situation, but I doubt it will take long before they take some action. If you are playing Nioh, I do suggest keeping a backup of your save files. This is generally a good rule for gaming period, because a lost save can really fill up the rage-o-meter.